Portfolio selection problems include vague parameters and fuzzy set is a powerful tool to cope with uncertainty caused by both the financial markets and the behavior of the investors’ decisions. This paper presents a fuzzy multi-criteria decision making (MCDM) approach to evaluate nine stocks taken from ISE. The Fuzzy Analytic Hierarchy Process method is applied to determine the weights of crit...

In this paper, based on a description of the four major players of commodity spot and futures markets, we establish a multi-phase equilibrium model of price determination, and then analyze the influence of the entry of a large number of index investors on the risk premium, inventory management, and different traders’ positions of commodity futures. The result shows that, the correlation between...

Motivated by psychological evidence that attention is a scarce cognitive resource, we model investors’ attention allocation in learning and study the effects of this on asset-price dynamics. We show that limited investor attention leads to category-learning behavior, i.e., investors tend to process more market and sector-wide information than firm-specific information. This endogenous structure...

How do rating changes affect investor behavior and price informativeness? In a model with endogenous information acquisition and investors with limited attention, we show that the returns to information and the informativeness of the price system increase after a downgrade, but should not experience a significant change after an upgrade. Using a sample of U.S. publicly traded firms that experie...

This paper provides a generalization of the theory of shareholder monitoring, originally developed by Admati, Pfleiderer, and Zechner (1994). An activist shareholder can trade with a finite number of strategic passive investors. If there are only a few investors, then their strategic behavior leads to an allocation of shares that increases the activist investor’s incentive to monitor, which is ...

The accrual anomaly is a phenomenon that investors gain future abnormal returns through accruals-based hedge portfolios. This paper first shows that China's institutional investors have a better understanding of the persistence of accounting accruals and they more accurately assess stock prices, and that an accrual-based hedge portfolio yields smaller future abnormal returns for firms with high...

This research sought to determine why people chose to invest in Earth Sanctuaries Limited (ESL), which conserves ecosystems and breeds endangered species as its corporate mission, an unequivocally ethical objective. Investors were surveyed to assess the relative importance of financial versus ecological considerations. Demographic and investor behavior attributes o f ESL shareholders were compa...

There is now a great deal of empirical evidence that business cycle uctuations contain asymmetries. The asymmetries found in post-war US data are inconsistent with the behavior of the US economy in the Great Depression. In a model where business cycle asymmetries are produced by rational uctuations in the con dence of investors, I examine whether this inconsistency can be explained by di erence...

This paper develops a model to estimate the implied default probability of corporate bonds. The model explicitly considers the risk averse behavior of investors to provide a more precise framework for estimating the implied default probability. A Kalman filter method is used to estimate time-varying risk premium associated with the investor's risk aversion. The results of nonlinear regressions ...

Investor behavior and investment activities are strongly influenced by the risk tolerance level of individual investors. International evidence suggests that lower risk tolerant investors are generally risk averse. However, their demographic characteristics and socioeconomic factors drive their risk attitudes. This study aims at investigating the critical role that age, gender, marital/social s...